Ozgun Elci

Addressing Estimation Errors through Robust Portfolio Optimization

  • Gérard Cornuéjols
  • Ozgun Elci
  • Vrishabh Patil
    • Categories Convex Optimization, Quadratic Programming, Robust Optimization Tags , ,

    It is well known that the performance of the classical Markowitz model for portfolio optimization is extremely sensitive to estimation errors on the expected asset returns. Robust optimization mitigates this issue. We focus on ellipsoidal uncertainty sets around a point estimate of the expected asset returns. An important issue is the choice of the parameters … Read more

    Portfolio optimization in the presence of estimation errors on the expected asset returns

  • Gérard Cornuéjols
  • Ozgun Elci
  • Matthias Köppe
    • Categories Finance and Economics, Robust Optimization Tags , , ,

    It is well known that the classical Markowitz model for portfolio optimization is extremely sensitive to estimation errors on the expected asset returns. Robust optimization mitigates this issue. We focus on ellipsoidal uncertainty sets around the point estimates of the expected asset returns. We investigate the performance of diagonal estimation-error matrices in the description of … Read more